Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0688 |
| Annualized Std Dev | 0.2318 |
| Annualized Sharpe (Rf=0%) | 0.2969 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3623.0000 |
| NAs | 1.0000 |
| Minimum | -0.1318 |
| Quartile 1 | -0.0055 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1401 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0146 |
| Skewness | -0.2424 |
| Kurtosis | 11.3123 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0117 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.6259 |
| Historical VaR (95%) | -0.0211 |
| Historical ES (95%) | -0.0358 |
| Modified VaR (95%) | -0.0213 |
| Modified ES (95%) | -0.0331 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-06 | 2013-02-13 | -0.6259 | 1293 | 378 | 915 |
| 2020-01-17 | 2020-03-23 | 2020-12-15 | -0.4640 | 231 | 45 | 186 |
| 2015-05-19 | 2016-01-20 | 2016-11-14 | -0.2411 | 378 | 170 | 208 |
| 2018-08-30 | 2018-12-24 | 2019-12-17 | -0.2368 | 327 | 80 | 247 |
| 2014-09-03 | 2014-10-13 | 2015-02-13 | -0.1067 | 114 | 29 | 85 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 | -1.2 | -1.5 |
| 2006 | 0.2 | 0.5 | -0.2 | 0.1 | 1.2 | 2.8 | -0.6 | 0.2 | 0 | 0.1 | 0.3 | 0.1 | 4.8 |
| 2007 | 1.1 | -0.3 | 0.3 | -1.5 | 0.2 | -0.5 | -1.2 | 1.5 | 1.3 | -1.6 | 0.9 | -0.2 | 0 |
| 2008 | 1.9 | -2.4 | 2.7 | 0.8 | 1.2 | -1 | -0.2 | 1.3 | 3.2 | 1.2 | -4.6 | 1.8 | 5.8 |
| 2009 | -4.3 | -1 | 1 | -0.5 | 0 | 1 | -0.7 | -2.8 | -3 | -2.4 | 1.7 | -0.3 | -10.9 |
| 2010 | 1 | 1 | 0.5 | -1.8 | -2 | -1.6 | 0 | 3.3 | 0.1 | -0.6 | 1.6 | -0.2 | 1.1 |
| 2011 | 1.2 | -1.8 | 0.7 | 0.9 | -1.2 | 1.2 | -1.3 | -0.6 | 0.1 | -3.6 | 0.5 | 0.1 | -3.9 |
| 2012 | 2.6 | 1.2 | 0.9 | 0.6 | -2 | 3.4 | -0.8 | 0.4 | -0.9 | 0 | 0.8 | 0.6 | 6.9 |
| 2013 | 1 | -0.4 | -0.8 | -1.4 | -0.3 | 0.8 | 1.5 | -1.4 | 1.3 | -0.4 | 0.1 | 0.1 | -0.3 |
| 2014 | -0.3 | 0.5 | 0.6 | 0 | -0.1 | 0.8 | -0.2 | 0.4 | -1.8 | 1.4 | -1.5 | -0.7 | -0.9 |
| 2015 | -1 | -0.6 | -0.5 | 0.7 | 0.1 | 0 | 0.1 | -3.1 | -0.1 | 0 | 0.7 | -1.2 | -4.8 |
| 2016 | -0.3 | 1.7 | 0.4 | -0.4 | 0.3 | 0.8 | -0.7 | -0.4 | 1 | -1.2 | 0.2 | -0.7 | 0.7 |
| 2017 | -0.2 | 1.6 | 0.2 | 0.2 | 1.4 | 0 | 0.1 | 0.5 | 0.1 | -0.2 | -0.2 | -0.5 | 3 |
| 2018 | 0.1 | -0.1 | 1.3 | 0.2 | 0.3 | 0 | -0.4 | 0.1 | -0.6 | 1.8 | 0.5 | 0.9 | 4 |
| 2019 | 0.2 | 0.7 | 1.7 | -1.1 | -1.3 | 0.2 | -2.1 | 0.4 | -2 | 1.6 | -0.9 | 0.3 | -2.6 |
| 2020 | -1.9 | -1.8 | -6 | -3.8 | 1.5 | -1.4 | -1.3 | 0.7 | 1.2 | -0.5 | 1.6 | 0.1 | -11.2 |
| 2021 | 1.9 | 2.7 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-11-16 25.4 SPY 123. 0.002 0.009 0.0481 0.0106 0.0414 0.351 -0.118 GLD 47.8 0.024 0.0262
2 2005-11-17 25.7 SPY 125. 0.00930 0.0105 0.0406 0.0177 0.0497 0.378 -0.0877 GLD 48.5 0.0147 0.043
3 2005-11-18 25.9 SPY 125. 0.0039 0.0111 0.0634 0.0217 0.0657 0.385 -0.077 GLD 48.5 -0.0004 0.0355
4 2005-11-21 26.0 SPY 126. 0.005 0.0167 0.0646 0.0288 0.0659 0.362 -0.0961 GLD 49.0 0.0109 0.0508
5 2005-11-28 26.2 SPY 126. -0.0071 0.0088 0.0688 0.0373 0.0715 0.377 -0.0628 GLD 49.7 0.0065 0.0264
6 2005-11-29 26.3 SPY 126. -0.0011 0.0026 0.0525 0.0416 0.0696 0.337 -0.0686 GLD 49.8 0.00120 0.0165
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
